The Scot is back in football, having enjoyed a welcome break after being sacked by Villa in May, bringing the curtain down on a difficult 11-month spell.
McLeish arrived from relegated city rivals Birmingham amid a cloud of protests from Villa fans unhappy with his appointment, and the situation never really improved due to poor results and a highly-criticised playing style as the team narrowly avoided relegation.
McLeish said: "It was a difficult job at Villa but one that I met head on and it was great to get over the line despite the catalogue of horrors we had there. I don't regret anything and I don't think I should regret anything.
"It was draining. I jumped from Birmingham right into Villa. It was a wee bit of disappointment at the end of the Birmingham tenure, so it's sometimes not easy going into another job when you're on a bit of a downer to start with.
"I felt that over the course of the Villa job I had to use every bit of experience I had, and in the end we got the boys over the line.
"We bloodied a lot of youngsters, maybe ahead of their time, and as you can see, it's up and down a wee bit just now for Paul (Lambert, his successor). It is not an overnight job at Villa, it was a work in progress."
The former Scotland boss revealed he was offered a couple of posts, even some abroad in the past week or so, but that they were not the right challenge.
He now takes up a 12-month rolling contract at the City Ground, although the reaction of Forest fans has not been entirely positive, albeit nowhere near the scale of the discontent displayed by Villa supporters following his switch from Birmingham.
McLeish knows winning games will change fans' attitudes and added: "The way I feel about it is the same as after I went in at Rangers. Some fans believed there should have been a bigger name and it was up to me to change that - and I did."